Measuring Market Risk, 2e
Kevin Dowd
John Wiley & Sons, Inc., 2005
ISBN: 0-470-01303-6;
Language: English
Written for graduate students in finance and professionals in risk measurement and management, this book discusses market risk measurement, focusing on the estimation of value at risk and expected tail loss. Topics covered include parametric and nonparametric risk estimation, options risk management, simulation, numerical methods, liquidity risks, stress testing, and model risk.
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The author has developed a supplemental set of MATLAB M-files available on a CD bound in the book.
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